GS Goldman Sachs Group Inc

Summary Information

Cash Settlement Amount for Notes Subject To a Knock-Out

The applicable pricing supplement may specify a knock-out event for your notes.  If the applicable pricing supplement so provides, the knock-out amount will be a specified percentage of the initial underlier, basket or lesser performing level.  As described below, if a knock-out event is specified and a knock-out event occurs, you will not receive the benefit of any buffer level or contingent minimum return specified by your notes.

In such a case, whether the notes are linked to a single underlier, a weighted basket of underliers or the lesser performing of two or more underliers, if the notes are automatically called (i.e., the closing level of the underlier, the basket closing level or the lesser performing closing level, as applicable, on the applicable call observation date is greater than or equal to the call level applicable to such call observation date), the cash settlement amount will be an amount in cash equal to the sum of the face amount plus the product of the face amount of each of your notes times the call premium amount applicable to the relevant call observation date.

If the notes are not automatically called and a knock-out event occurs (i.e., the level of the underlier, the level of the basket, the lesser performing level, the closing level of the underlier, the basket closing level or the lesser performing closing level, as applicable, has declined, as compared to the initial underlier, basket or lesser performing level, as applicable, by more than the knock-out amount applicable to the applicable measurement period), you will receive a cash settlement amount at maturity that will reflect the performance of the underlier, basket of underliers or lesser performing of two or more underliers, as applicable.  In such a case, if the final underlier, basket or lesser performing level, as applicable, is greater than the initial underlier, basket level or lesser performing level, as applicable, the cash settlement amount will equal the face amount of each of your notes plus an additional amount equal to the product of the face amount of each of your notes times the upside participation rate (as described below) times the underlier, basket or lesser performing return, subject to the cap level (as described below), if one is specified in the applicable pricing supplement.  Since the applicable underlier, basket or lesser performing return will be a positive percentage in this case, the cash settlement amount will be greater than the face amount of each of your notes.  If, on the other hand, the final underlier, basket or lesser performing level is less than or equal to the initial underlier, basket or lesser performing level, the cash settlement amount will equal the face amount of each of your notes plus the product of the face amount of each of your notes times the underlier, basket or lesser performing return. In this case, because the underlier, basket or lesser performing return is zero or a negative percentage, the cash settlement amount will be equal to or less than the face amount of each of your notes and the cash settlement amount could even be zero.

If the notes are not automatically called and a knock-out event does not occur, you will receive a cash settlement amount at maturity that will reflect the performance of the underlier, basket of underliers or lesser performing of two or more underliers, as applicable.  In such a case, if the final underlier, basket or lesser performing level, as applicable, is greater than or equal to the initial underlier, basket or lesser performing level, the cash settlement amount will equal the face amount of each of your notes plus an additional amount equal to the product of the face amount of each of your notes times the upside participation rate (as described below) times the underlier, basket or lesser performing return, subject to the cap level (as described below), if one is specified in the applicable pricing supplement and subject to the contingent minimum return (as described below), if one is specified in the applicable pricing supplement.  Since the applicable underlier, basket or lesser performing return will be a positive percentage in this case, the cash settlement amount will be greater than the face amount of each of your notes.

If the final underlier, basket or lesser performing level is less than the initial underlier, basket or lesser performing level, the cash settlement amount will equal the face amount of each of your notes plus the product of the face amount of each of your notes times the underlier, basket or lesser performing return, subject to the buffer level (as described below), if one is specified in the applicable pricing supplement, or subject to the contingent minimum return (as described below), if one is specified in the applicable pricing

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supplement.  Since the applicable underlier, basket or lesser performing return will be zero or a negative percentage in this case, the cash settlement amount will be equal to or less than the face amount of each of your notes unless the contingent minimum return is positive.

The upside participation rate will be zero or a positive percentage. The upside participation rate indicates the extent to which you will participate in any positive return in the applicable underlier, basket of underliers or lesser performing of two or more underliers.  If the applicable pricing supplement specifies an upside participation rate that is positive but less than 100%, you will participate in less than the full return of the applicable underlier, basket of underliers or lesser performing of two or more underliers over the life of your notes.  For example, if the upside participation rate for your notes were set at 85% and the underlier, basket or lesser performing return were 10%, the cash settlement amount for each of your notes would equal the product of the face amount of each of your notes times 108.5% (assuming a cap level is not applicable). If the applicable pricing supplement specifies an upside participation rate that is zero, you will not participate in any of the positive return of the applicable underlier, basket of underliers or lesser performing of two or more underliers over the life of your notes.  For example, if the upside participation rate for your notes were set at 0% and the underlier, basket or lesser performing return were 10%, the cash settlement amount for each of your notes would equal the product of the face amount of each of your notes times 100% (assuming a contingent minimum return is not applicable).  If the applicable pricing supplement specifies an upside participation rate that equals 100%, you will participate in the full positive return of the applicable underlier, basket of underliers or lesser performing of two or more underliers. If the upside participation rate is greater than 100%, you will participate in the return of the applicable underlier, basket of underliers or lesser performing of two or more underliers to a greater extent than as measured by such return alone, or in other words, on a leveraged basis.  

The return of the applicable underlier, basket of underliers or lesser performing underliers, which we refer to as the underlier return, the basket return or the lesser performing return, is equal to the percentage, if any, by which the final level of the applicable underlier, basket of underliers or lesser performing of two or more underliers (which we refer to as the final underlier level, final basket level or final lesser performing level) exceeds or declines from the initial level of such underlier, basket of underliers or lesser performing of two or more underliers (which we refer to as the initial underlier level, initial basket level or initial lesser performing level).  The underlier, basket or lesser performing return measures the performance of the applicable underlier, basket of underliers or lesser performing of two or more underliers over the life of the notes by measuring the change in the final underlier, basket or lesser performing level (as determined on the determination date or the averaging dates, as applicable, for the notes) over the initial underlier, basket or lesser performing level (as determined on the original trade date for the notes).

Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier

For notes linked to a single underlier, if the notes are called, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount  ×  call premium amount)

and if the notes are not called and a knock-out event occurs and the final underlier level is greater than the initial underlier level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount  +  (face amount  ×  upside participation rate  ×  underlier return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement

and if the notes are not called and a knock-out event occurs and the final underlier level is less than or equal to the initial underlier level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount  ×  underlier return)

and if the notes are not called, and a knock-out event does not occur and the final underlier level is greater than the initial underlier level, the cash settlement amount will be calculated as follows:

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cash settlement amount  =  face amount  +  (face amount  ×  upside participation rate  ×  underlier return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement, and to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and a knock-out event does not occur and the final underlier level is equal to the initial underlier level, the cash settlement amount will be as follows:

cash settlement amount  =  face amount

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and a knock-out event does not occur and the final underlier level is less than the initial underlier level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount  ×  underlier return)

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement, or to the buffer level, as described under “— Cash Settlement Amount for Notes Subject to a Buffer Level” below, if one is specified in the applicable pricing supplement,

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Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers

For notes linked to a basket of underliers, if the notes are called, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  call premium amount)

and if the notes are not called and a knock-out event occurs and the final basket level is greater than the initial basket level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount  +  (face amount ×  upside participation rate ×  basket return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement,

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and if the notes are not called and a knock-out event occurs and the final basket level is less than or equal to the initial basket level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  basket return)

and if the notes are not called and a knock-out event does not occur and the final basket level is greater than the initial basket level, the cash settlement amount will be calculated as follows:

cash settlement amount  = face amount  +  (face amount ×  upside participation rate ×  basket return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement, and to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and a knock-out event does not occur and the final basket level is equal to the initial basket level the cash settlement amount will be as follows:

cash settlement amount  =  face amount

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and a knock-out event does not occur and the final basket level is less than the initial basket level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  basket return)

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement, or to the buffer level, as described under “— Cash Settlement Amount for Notes Subject to a Buffer Level” below, if one is specified in the applicable pricing supplement,

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and where,

“face amount”, “upside participation rate”, “call premium amount”, “call levels”, “call payment dates”, “call observation dates”, “stated maturity date”, “determination date”, “averaging dates”, “measurement period”, and “knock-out amount” are as defined under “— Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above.

Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers

For notes linked to the lesser performing of two or more underliers, if the notes are called, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  call premium amount)

and if the notes are not called and a knock-out event occurs and the final lesser performing level is greater than the initial lesser performing level, the cash settlement amount will be calculated as follows

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cash settlement amount  =  face amount  +  (face amount ×  upside participation rate ×  lesser performing return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and a knock-out event occurs and the final lesser performing level is less than or equal to the initial lesser performing level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  lesser performing return)

and if the notes are not called and a knock-out event does not occur and the final lesser performing level is greater than the initial lesser performing level, the cash settlement amount will be calculated as follows:

cash settlement amount  = face amount  +  (face amount ×  upside participation rate ×  lesser performing return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement, and to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and a knock-out event does not occur and the final lesser performing level is equal to the initial lesser performing level, the cash settlement amount will be as follows:

cash settlement amount  =  face amount

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and a knock-out event does not occur and the final lesser performing level is less than the initial lesser performing level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  lesser performing return)

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement, or to the buffer level, as described under “— Cash Settlement Amount for Notes Subject to a Buffer Level” below, if one is specified in the applicable pricing supplement,

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and where,

“face amount”, “upside participation rate”, “call premium amount”, “call levels”, “call payment dates”, “call observation dates”, “stated maturity date”, “determination date”, “averaging dates”, “measurement period”, and “knock-out amount” are as defined under “— Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above.

Cash Settlement Amount for Notes Not Subject To a Knock-Out

If the applicable pricing supplement does not specify a knock-out event, whether the notes are linked to a single underlier, a weighted basket of underliers or the lesser performing of two or more underliers, if the notes are automatically called (i.e., the closing level of the underlier, the basket closing level or the lesser performing closing level, as applicable, on the applicable call observation date is greater than or equal to the call level applicable to such call payment date), the cash settlement amount will be an amount in cash equal to the sum of the face amount plus the product of the face amount of each of your notes times the call premium amount applicable to the relevant call observation date.

If the notes are not automatically called, you will receive a cash settlement amount at maturity that will reflect the performance of the underlier, basket of underliers or lesser performing of two or more underliers, as applicable.  In such a case, if the final underlier, basket or lesser performing level is greater than or equal to the initial underlier, basket or lesser performing level, the cash settlement amount will equal either (1) the face amount of each of your notes plus the product of the face amount of each of your notes times the upside participation rate (as described below) times the underlier, basket or lesser performing return, subject to the cap level (as described below), if one is specified in the applicable pricing supplement and subject to the contingent minimum return (as described below), if one is specified in the applicable pricing supplement, or (2) if the applicable pricing supplement specifies a maturity date premium amount, the face amount of a note plus the product of the face amount of a note times the maturity date premium amount (which will be a positive percentage to be set on the trade date as specified in the applicable pricing supplement).  If the applicable underlier, basket or lesser performing return is a positive percentage, or if the notes are subject to a maturity date premium amount, in this case, the cash settlement amount will be greater than the face amount of each of your notes.

If the final underlier, basket or lesser performing level is less than the initial underlier, basket or lesser performing level, the cash settlement amount will equal the sum of the face amount plus the product of the face amount of each of your notes times the underlier, basket or lesser performing return, subject to the buffer level (as described below), if one is specified in the applicable pricing supplement, or to the contingent minimum return (as described below), if one is specified in the applicable pricing supplement.  Since the applicable underlier, basket or lesser performing return will be a negative percentage in this case, the cash settlement amount will be less than the face amount of each of your notes unless the contingent minimum return is a positive percentage.

Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier

For notes linked to a single underlier, if the notes are called, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  call premium amount)

and if the notes are not called, and the final underlier level is greater than the initial underlier level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  upside participation rate ×  underlier return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement, to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing

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supplement and to the maturity date premium amount as described under “— Cash Settlement Amount for Notes Subject to Maturity Date Premium Amount” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and the final underlier level is equal to the initial underlier level the cash settlement amount will be as follows:

cash settlement amount  =  face amount

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement and to the maturity date premium amount as described under “— Cash Settlement Amount for Notes Subject to Maturity Date Premium Amount” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and the final underlier level is less than the initial underlier level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  underlier return)

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement, or to the buffer level, as described under “— Cash Settlement Amount for Notes Subject to a Buffer Level” below, if one is specified in the applicable pricing supplement,

where,

“face amount”, “upside participation rate”, “underlier return”, “initial underlier level”, “final underlier level”, “closing level”, “level of the underlier”, “call premium amount”, “call levels”, “call payment dates”, “call observation dates”, “stated maturity date”, “determination date” and “averaging dates”, are as defined under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above.

Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers

For notes linked to a basket of underliers, if the notes are called, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  call premium amount)

and if the notes are not called and the final basket level is greater than the initial basket level, the cash settlement amount will be calculated as follows:

cash settlement amount  = face amount  +  (face amount ×  upside participation rate ×  basket return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement, to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement and to the maturity date premium amount as described under “— Cash Settlement Amount for Notes Subject to Maturity Date Premium Amount” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and the final basket level is equal to the initial basket level the cash settlement amount will be as follows:

cash settlement amount  =  face amount

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement and to the maturity date premium amount as

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described under “— Cash Settlement Amount for Notes Subject to Maturity Date Premium Amount” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and the final basket level is less than the initial basket level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  basket return)

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement, or to the buffer level, as described under “— Cash Settlement Amount for Notes Subject to a Buffer Level” below, if one is specified in the applicable pricing supplement,

where,

“face amount”, “upside participation rate”, “call premium amount”, “call levels”, “call payment dates”, “call observation dates”, “stated maturity date”, “determination date”, “averaging dates”, “initial basket level”, weighting percentage”, “weighting multiplier”, “basket closing level”, “level of the basket”, “final basket level”, and “basket return” are as defined under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above.

Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers

For notes linked to the lesser performing of two or more underliers, if the notes are called, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  call premium amount)

and if the notes are not called and the final lesser performing level is greater than the initial lesser performing level, the cash settlement amount will be calculated as follows:

cash settlement amount  = face amount  +  (face amount ×  upside participation rate ×  lesser performing return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement, to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement and to the maturity date premium amount as described under “— Cash Settlement Amount for Notes Subject to Maturity Date Premium Amount” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and the final lesser performing level is equal to the initial lesser performing level the cash settlement amount will be as follows:

cash settlement amount  =  face amount

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement and to the maturity date premium amount as described under “— Cash Settlement Amount for Notes Subject to Maturity Date Premium Amount” below, if one is specified in the applicable pricing supplement,

and if the notes are not called and the final lesser performing level is less than the initial lesser performing level, the cash settlement amount will be calculated as follows:

cash settlement amount  =  face amount  +  (face amount ×  lesser performing return)

, provided that the cash settlement amount will be subject to the contingent minimum return, as described under “— Cash Settlement Amount for Notes Subject to a Contingent Minimum Return” below, if one is specified in the applicable pricing supplement, or to the buffer level, as described under “—

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Cash Settlement Amount for Notes Subject to a Buffer Level” below, if one is specified in the applicable pricing supplement,

where,

“face amount”, “upside participation rate”, “call premium amount”, “call levels”, “call payment dates”, “call observation dates”, “stated maturity date”, “determination date”, “averaging dates”, “measurement period”, “initial lesser performing level”, “lesser performing closing level”, “lesser performing level”, “final lesser performing level”, and “lesser performing return”, are as defined under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above.

Cash Settlement Amount for Notes Subject to a Buffer Level

The applicable pricing supplement may specify a buffer level for your notes.  If the applicable pricing supplement so provides, the buffer level will be as specified in the applicable pricing supplement and is expected to be a percentage (less than 100% and greater than 0%) of the initial underlier, basket or lesser performing level.

Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier

For notes linked to a single underlier, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above, as applicable, except as follows,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final underlier level is less than the initial underlier level but greater than or equal to the buffer level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) and the final underlier level is less than the buffer level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount  +  (face amount ×  buffer rate ×  (underlier return + buffer amount))

and where,

“face amount”, “final underlier level”, initial underlier level” and “underlier return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above.

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Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers

For notes linked to a basket of underliers, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above, as applicable, except as follows,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final basket level is less than the initial basket level but greater than or equal to the buffer level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) and the final basket level is less than the buffer level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount  +  (face amount ×  buffer rate ×  (basket return + buffer amount))

and where,

“face amount”, “initial basket level”, “final basket level” and “basket return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above.

Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers

For notes linked to the lesser performing of two or more underliers, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above, as applicable, except as follows,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final lesser performing level is less than the initial lesser performing level but greater than or equal to the buffer level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out

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event and (y) and the final lesser performing level is less than the buffer level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount  +  (face amount ×  buffer rate ×  (lesser performing return + buffer amount))

and where,

“face amount”, “initial lesser performing level”, “final lesser performing level” and “lesser performing return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above.

Cash Settlement Amount for Notes Subject to a Contingent Minimum Return

The applicable pricing supplement may specify a contingent minimum return for your notes.  If the applicable pricing supplement so provides, the contingent minimum return will be a percentage specified in the applicable pricing supplement.

Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier

For notes linked to a single underlier, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above, as applicable, except as follows,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final underlier level is greater than or equal to the initial underlier level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the greater of

(a) face amount  +  (face amount ×  upside participation rate ×  underlier return), or

(b) face amount  +  (face amount ×  contingent minimum return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final underlier level is less than the initial underlier level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the greater of

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(a) face amount  +  (face amount ×  underlier return), or

(b) face amount  +  (face amount ×  contingent minimum return)

where,

“face amount”, “knock-out event”, “final underlier level”, “initial underlier level” and “underlier return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above.

Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers

For notes linked to a basket of underliers, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above, as applicable, except as follows,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final basket level is greater than or equal to the initial basket level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the greater of

(a) face amount  +  (face amount ×  upside participation rate ×  basket return), or

(b) face amount  +  (face amount ×  contingent minimum return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final basket level is less than the initial basket level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the greater of

(a) face amount  +  (face amount ×  basket return), or

(b) face amount  +  (face amount ×  contingent minimum return)

where,

“face amount”, “knock-out event”, “final basket level”, “initial basket level” and “basket return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above.

Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers

For notes linked to the lesser performing of two or more underliers, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above, as applicable, except as follows,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final lesser performing level is greater than or equal to the initial lesser performing level, the cash settlement amount will be calculated as follows

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cash settlement amount  =  the greater of

(a) face amount  +  (face amount ×  upside participation rate ×  lesser performing return), or

(b) face amount  +  (face amount ×  contingent minimum return)

, provided that the cash settlement amount will be subject to the cap level, as described under “— Cash Settlement Amount for Notes Subject to a Cap Level” below, if one is specified in the applicable pricing supplement,

if the notes are not called and (x) (i) the applicable pricing supplement specifies a knock-out event and a knock-out event does not occur or (ii) the applicable pricing supplement does not specify a knock-out event and (y) the final lesser performing level is less than the initial lesser performing level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the greater of

(a) face amount  +  (face amount ×  lesser performing return), or

(b) face amount  +  (face amount ×  contingent minimum return)

where,

“face amount”, “knock-out event”, “final lesser performing level”, “initial lesser performing level” and “lesser performing return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above.

Cash Settlement Amount for Notes Subject to Maturity Date Premium Amount

The applicable pricing supplement may specify a maturity date premium amount for your notes.  If the applicable pricing supplement so provides, the maturity date premium amount will be a positive percentage specified in the applicable pricing supplement.

Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier

For notes linked to a single underlier, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above, as applicable, except as follows,

if the notes are not called and the final underlier level is greater than or equal to the initial underlier level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount  +  (face amount ×  maturity date premium amount)

and where,

“face amount”, “final underlier level” and “initial underlier level” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above.

Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers

For notes linked to a basket of underliers, the cash settlement amount will be as described under  “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above, as applicable, except as follows,

if the notes are not called and the final basket level is greater than or equal to the initial basket level, the cash settlement amount will be calculated as follows

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cash settlement amount  =  face amount  +  (face amount ×  maturity date premium amount)

and where,

“face amount”, “final basket level” and “initial basket level” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above.

Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers

For notes linked to the lesser performing of two or more underliers, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above, as applicable, except as follows,

if the notes are not called and the final lesser performing level is greater than or equal to the initial lesser performing level, the cash settlement amount will be calculated as follows

cash settlement amount  =  face amount  +  (face amount ×  maturity date premium amount)

and where,

“face amount”, “final lesser performing level”, and “initial lesser performing level” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above.

Cash Settlement Amount for Notes Subject to a Cap Level

The applicable pricing supplement may specify a cap level for your notes.  If the applicable pricing supplement so provides, the cap level will be a percentage (which will be greater than 100%) of the initial underlier, basket or lesser performing level, as specified in the applicable pricing supplement.

Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier

For notes linked to a single underlier, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above, as applicable, except as follows,

if the notes are not called and the final underlier level is greater than or equal to the initial underlier level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the lesser of

(a) the cash settlement amount calculated as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out —

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Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above, as applicable, or

(b) the maximum settlement amount

and where,

“face amount”, “knock-out event”, “final underlier level”, “initial underlier level” and “underlier return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Single Underlier” above.

Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers

For notes linked to a basket of underliers, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to Basket of Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above, as applicable, except as follows,

if the notes are not called and the final basket level is greater than or equal to the initial basket level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the lesser of

(a) the cash settlement amount calculated as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above, as applicable, or

(b) the maximum settlement amount

and where,

“face amount”, “knock-out event”, “final basket level”, “initial basket level” and “basket return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to a Basket of Underliers” above.

Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers

For notes linked to the lesser performing of two or more underliers, the cash settlement amount will be as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above, as applicable, except as follows,

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if the notes are not called and the final lesser performing level is greater than or equal to the initial lesser performing level, the cash settlement amount will be calculated as follows

cash settlement amount  =  the lesser of

(a) the cash settlement amount calculated as described under “— Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” or “— Cash Settlement Amount for Notes Not Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above, as applicable, or

(b) the maximum settlement amount

and where,

“face amount”, “knock-out event”, “final lesser performing level”, “initial lesser performing level” and “lesser performing return” are as described under “Cash Settlement Amount for Notes Subject to a Knock-Out — Calculation of Cash Settlement Amount for Notes Linked to the Lesser Performing of Two or More Underliers” above.

Cash Settlement Amount for Notes With Underliers Denominated in Non-U.S. Dollars and That Are Adjusted to Reflect Their U.S. Dollar Value

The applicable pricing supplement may specify underliers that are not denominated in U.S. dollars and that are adjusted to reflect their U.S. dollar value. If the applicable pricing supplement so specifies, for the underlier, each basket underlier or each lesser performing underlier, the closing level of such underlier will be adjusted to reflect the U.S. dollar value of the underlier using the applicable exchange rate specified in the applicable pricing supplement.

In such case, the cash settlement amount will be calculated as described above and the following definitions may apply to your notes if specified in the applicable pricing supplement:

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Averaging Dates

If specified in the applicable pricing supplement, the final underlier, basket or lesser performing level will be based on the arithmetic average of the closing levels (or the adjusted closing levels, if applicable) of the relevant underlier, basket or lesser performing closing levels on each of the specified averaging dates, except in limited circumstances described in the applicable general terms supplement and subject to adjustment as provided in the applicable general terms supplement

Underliers

For a description of certain underliers to which the notes may be linked, see the applicable general terms supplement.  Any other underlier or underliers to which the notes may be linked will be described in the applicable pricing supplement.

Coupon

The notes may pay a coupon, if any, at a fixed rate, as specified in the applicable pricing supplement.  For each coupon period, which will be specified in the applicable pricing supplement, a coupon may accrue at the coupon rate during each coupon observation date during such coupon period, unless otherwise specified in the applicable pricing supplement.  The amount accrued during each coupon period will depend on whether the underlier, basket or lesser performing closing level on the applicable coupon observation date is greater than or equal to the coupon trigger level applicable to such coupon period, which will be specified in the applicable pricing supplement.  Such a coupon will accrue on the face amount of each of your notes and will be calculated and paid as described in the accompanying prospectus with regard to fixed rate notes, except that the coupons will accrue on a constant basis and that the coupon rate and the coupon payment dates will be those specified in the applicable pricing supplement and, as long as your notes are in global form, the regular record date for each coupon payment date will be the two business day following the applicable coupon observation date, unless otherwise specified in the applicable pricing supplement.  If the stated maturity date does not occur on the date specified in the applicable pricing supplement, however, the coupon payment date scheduled for that date will instead occur on the postponed stated maturity date.  No coupon will accrue from and including the originally scheduled stated maturity date to and including the postponed stated maturity date, if the stated maturity date is so postponed.

Other Terms of the Notes

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Redemption of the Notes

We will automatically call and redeem all, but not part, of your notes on any call payment date if the underlier closing level, basket closing level or lesser performing closing level, as applicable, on the applicable call observation date is greater than or equal to the call level applicable to such call observation date (which will be specified in the applicable pricing supplement).  The call observation dates will be specified in the applicable pricing supplement and will be a trading day or a set of predetermined trading days.  If the notes are automatically called, the cash settlement amount will be an amount in cash equal to the product of the face amount of each of your notes times the call premium amount (which will be zero or a positive percentage specified in the applicable pricing supplement) applicable to the relevant call observation date, in addition to any accrued and unpaid coupons.

Calculation Agent

GS&Co. is appointed as the initial calculation agent for the underlier-linked autocallable notes as of the date of this product supplement no. 8,677.  We may appoint a different entity as the calculation agent for your notes or change the calculation agent for your notes without notice to the holders and GS&Co. may resign as calculation agent at any time upon 60 days’ written notice to GS Finance Corp.  The calculation agent will make all determinations regarding whether a redemption or a knock-out event occurs; the initial lesser performing level; the lesser performing underlier level; the final underlier, basket or lesser performing level; the final lesser performing underlier level; the underlier return, the basket return and the lesser performing return; market disruption events; successor underliers; the exchange rates, if applicable; stated maturity date; determination date; averaging dates, if applicable; coupon payment dates and coupon observation dates, if applicable; call observation dates; measurement periods, if applicable; business days, trading days; the amount of any coupon accrual; the cash settlement amount and the amount payable on your notes at maturity or upon redemption; and any other determination as applicable or specified in the applicable pricing supplement.  The calculation agent also has discretion in making certain adjustments relating to a discontinuation or modification of an underlier, individually or within a basket of underliers.  Absent manifest error, all determinations of the calculation agent will be final and binding, without any liability on the part of the calculation agent.

What About Taxes?

The U.S. federal income tax consequences of an investment in your notes are uncertain, both as to the timing and character of any inclusion in income in respect of your notes.  Some of these tax consequences are summarized below, but we urge you to read the more detailed discussion in “Supplemental Discussion of Federal Income Tax Consequences” on page S-71.

Unless otherwise specified in the applicable pricing supplement, pursuant to the terms of the notes, GS Finance Corp. and you agree (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to characterize each of your notes for all purposes as a pre-paid derivative contract (which is an income-bearing pre-paid derivative contract if the notes bear a coupon) in respect of the underlier, basket of underliers, or the lesser performing of two or more underliers as specified in the

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applicable pricing supplement.  If your notes are so treated, it would be reasonable for you to treat any gain or loss recognized upon the sale, exchange, redemption or maturity of your notes (excluding amounts attributable to coupon payments) as capital gain or loss in an amount equal to the difference between the amount you receive upon the sale, exchange,  redemption or maturity of your notes and the amount you paid for your notes.  Such gain or loss generally would be long-term capital gain or loss if you held your notes for more than one year. If you are a U.S. alien holder (as defined in “Supplemental Discussion of Federal Income Tax Consequences” below), and your notes bear a coupon, we intend to withhold on the coupon payments on your notes at a 30% rate.

The Internal Revenue Service announced on December 7, 2007 that it is actively considering the proper federal tax treatment of financial instruments such as your notes and it is possible that any future guidance could adversely affect the tax treatment and the value of your notes. Except to the extent otherwise provided by law, GS Finance Corp. intends to continue treating the notes for U.S. federal income tax purposes in accordance with the treatment described above and under “Supplemental Discussion of Federal Income Tax Consequences” on page S-71 unless and until such time as Congress, the Treasury Department or the Internal Revenue Service determine that some other treatment is more appropriate.

In addition, legislation was introduced in Congress in 2007 that, if enacted, would have required holders that acquired instruments such as your notes after the bill is enacted to accrue interest income over the term of such instruments even if there may be no interest payments over the term of such instruments.  It is not possible to predict whether a similar or an identical bill will be enacted in the future and whether any such bill would affect the tax treatment of your notes.

The tax discussion herein addresses certain tax consequences that are generally expected to be applicable to the notes issued off of this product supplement no. 8,677 but it does not address the tax treatment of any particular note.  Accordingly, tax consequences different from those described herein may be applicable to any particular note.  The tax consequences for a particular note will be discussed in the applicable pricing supplement.

You should consult your tax advisor regarding the U.S. federal, state and local and other tax consequences of owning and disposing of the notes in your particular circumstances.

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Hypothetical Returns on the Underlier-Linked Autocallable Notes

The following examples, tables and charts are provided for purposes of illustration only.  They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate hypothetical cash settlement amounts at maturity, assuming all other variables described below remain constant, for a range of underlier or basket performances as they relate to hypothetical issuances of notes linked to a single underlier, notes linked to a basket of underliers and notes linked to the lesser performing of two or more underliers.

The information in the examples, tables and charts below reflects hypothetical rates of return on the notes assuming that they are purchased on the original issue date and held to the stated maturity date.  If you sell your notes prior to the stated maturity date, your return will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in the examples, tables and charts below such as prevailing interest rates and the volatility of the underlier or a basket of underliers, as applicable.  For more information on the value of your notes in the secondary market, see “Additional Risk Factors Specific to the Underlier-Linked Autocallable Notes — The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors” below.

No one can predict what the level of the applicable underlier, basket of underliers or lesser performing of two or more underliers will be during the measurement period or on the determination date or any of the averaging dates, as applicable, for your notes.  The underliers described in the applicable general terms supplement have been highly volatile — meaning that their levels have changed substantially in relatively short periods — in the past and their performance cannot be predicted for the future.  In addition, any rate of return you may earn on your investment in the notes may be lower than that which you could earn on a comparable investment in the underlier stocks of the underlier or underliers to which your notes are linked.  Among other things, the return on your notes will not reflect any dividends that may be paid on the underlier stocks, as applicable.  Also, the hypothetical examples shown below do not take into account the effects of applicable taxes, see “Additional Risk Factors Specific to the Underlier-Linked Autocallable Notes — The Tax Consequences of an Investment in Your Notes Are Uncertain” below.

The following examples, tables and charts do not reflect coupon payments, if any, that may be payable on your notes.  We have assumed for the purposes of these examples, tables and charts below that there is no change in or affecting the composition of any underlier or the method by which the relevant underlier is calculated, that there is no change in the relative weighting of any underlier stock for a particular underlier, and that no market disruption event occurs with respect to any underlier (including any applicable exchange rate). In addition, except as specified below, we have assumed for the purposes of these examples, tables and charts below that there are no foreign currency adjustments affecting the closing level of the underlier for any underlier.

For these reasons, the actual performance of the applicable underlier, basket of underliers or lesser performing of two or more underliers over the life of your notes, as well as the amount payable at maturity, may bear little relation to the hypothetical examples shown below.

The initial underlier, basket or lesser performing level, the upside participation rate, the buffer level, the buffer rate, the buffer amount, the knock-out amount, the cap level, the maximum settlement amount, the contingent minimum return, the exchange rates, the stated maturity date, the determination date, the averaging dates and the weighting multipliers, as applicable, that will apply to your notes will be set forth in a pricing supplement prepared specifically for the notes you purchase.

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Notes Linked to a Single Underlier Without Averaging Dates

Examples for the Case Where a Knock-Out Event Occurs and the Notes are Not Called

If a knock-out event occurs during the applicable measurement period, the cash settlement amount will depend on whether the final underlier level is greater than, equal to or less than the initial underlier level.  If the final underlier level is greater than the initial underlier level, the cash settlement amount will be calculated on the determination date (examples of which are provided below) and will equal the sum of the face amount of each of your notes plus an additional amount equal to the product of the face amount of each of your notes times the upside participation rate times the underlier return, subject to the cap level, if specified in the applicable pricing supplement.  The underlier return is the percentage, if any, by which the final underlier level exceeds the initial underlier level.  Accordingly, if a knock-out event occurs and the final underlier level is greater than the initial underlier level, the amount payable at maturity per each note will be as follows:

The hypothetical examples presented below show how the amount payable on the notes is calculated, when a knock-out event occurs and the notes are not automatically called, based on key terms and assumptions set forth below. In all cases where a knock-out event occurs, the contingent minimum return will not be applicable.  

Example 1:  The final underlier level is greater than the initial underlier level.

In the example above, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, or $1,650.  Because the upside participation rate is greater than 100%, the return on

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your notes is greater than the rate of increase in the closing level of the underlier from the trade date to the determination date.

The table below reflects the key terms and assumptions above and illustrates the hypothetical return on each note for the specified final underlier levels that are greater than the initial underlier level.  However, the table below does not cover the complete range of possible amounts payable on the stated maturity date.

Example 2:  The final underlier level is less than the initial underlier level.

In the example above, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, or $800.  Because the final underlier level is less than the initial underlier level, your return on the notes will be less than the amount you invested.

The table below illustrates the hypothetical return on each note for the specified final underlier levels that are less than the initial underlier level.  However, the table below does not cover the complete range of possible amounts payable on the stated maturity date.

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Examples for the Case Where the Notes are Automatically Called

If the notes are automatically called (i.e., the closing level of the underlier, the basket closing level or the lesser performing closing level, as applicable, on the applicable call observation date is greater than or equal to the call level applicable to such call payment date), on the applicable call payment date for each of your notes you will receive a cash settlement amount equal to the sum of the face amount of each of your notes plus the product of (i) the face amount of each of your notes times (ii) the relevant call premium amount.

Example 3:  The notes are automatically called on the first call observation date and the call premium amount applicable to each call observation date is the same

In the example above, on the call payment date, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, which will in turn equal $1,100.  As the call premium amount applicable to each call observation date is the same, the amount you would receive on each applicable call payment date would be the same were the notes called on a different call observation date.  In this example, because the hypothetical call premium is less than the underlier return, you would receive a cash settlement amount for your notes that would be less than you would have received had you invested directly in the underlier.  

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Example 4:  The notes are automatically called on the first call observation date and the call premium amounts applicable to each call observation date are different  

In the example above, on the call payment date, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, which will in turn equal $1,100.  In this example, because the hypothetical call premium is less than the underlier return, you would receive a cash settlement amount for your notes that would be less than you would have received had you invested directly in the underlier.  

Example 5:  The notes are automatically called on the second call observation date and the call premium amounts applicable to each call observation date are different

In the example above, on the call payment date, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, which will in turn equal $1,150.  In this example, because the hypothetical call premium is equal to the underlier return, you would receive a cash settlement amount for

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your notes that would be equal to the amount you would have received had you invested directly in the underlier.  

Example 6:  The notes are automatically called on the third call observation date and the call premium amounts applicable to each call observation date are different

In the example above, on the call payment date, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, which will in turn equal $1,200.  In this example, because the hypothetical call premium is greater than the underlier return, you would receive a cash settlement amount for your notes that would be greater than you would have received had you invested directly in the underlier.  

Examples for the Case Where a Knock-Out Event Does Not Occur and a Contingent Minimum Return is Applicable and the Notes are Not Called

If a knock-out event does not occur during any measurement period and a contingent minimum return is applicable and the notes are not automatically called, on the stated maturity date for each of your notes if the final underlier level is greater than the initial underlier level, you will receive a cash settlement amount equal to the greater of (a) sum of the face amount of each of your notes plus the product of (i) the face amount of each of your notes times (ii) the upside participation rate times (iii) the underlier return, subject to the cap level, if applicable or (b) the sum of the face amount of each of your notes plus the product of (i) the face amount of each of your notes times (ii) the contingent minimum return, which will be a percentage specified in the applicable pricing supplement.  However, if the final underlier level is less than or equal to the initial underlier level, you will receive a cash settlement amount equal to the greater of (a) sum of the face amount of each of your notes plus the product of (i) the face amount of each of your notes times (ii) the underlier return or (b) the sum of the face amount of your notes plus the product of (i) the face amount of each of your notes times (ii) the contingent minimum return.  Thus, even if the final underlier level is equal to or less than the initial underlier level, you will receive a return on your notes equal to the contingent minimum return.  Accordingly, if a knock-out event does not occur and your notes are not automatically called and the final underlier level is greater than the initial underlier level, the amount payable at maturity per each note will be the greater of:

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Alternatively, if a knock-out event does not occur and your notes are not automatically called and the final underlier level is equal to or less than initial underlier level, the amount payable at maturity per each note will be the greater of:

Example 7:  The underlier return is less than the contingent minimum return.

In the example above, since the underlier return of -10% is less than the contingent minimum return of 3%, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, calculated using the contingent minimum return, which will in turn equal $1,030.

Example 8:  The underlier return is greater than the contingent minimum return.

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In the example above, since the underlier return of 20% is greater than the contingent minimum return of 3%, the amount payable at maturity per $1,000 face amount will equal the cash settlement amount, calculated without regard to the contingent minimum return, which will in turn equal $1,260.

Example 9:  The underlier return is greater than the contingent minimum return and a cap level applies.